Risk Latte Company is holding a one day Interest Rate Modelling & Pricing Fixed Income Derivatives in Hong Kong.

Interest Rate Modelling & Pricing Fixed Income Derivatives

- Online and offline (on site) Course;
- Hands on Excel/VBA spreadsheet models;
- Pricing using actual term sheets and case studies;

Quantitative Techniques
All QT implemented on Excel/VBA spreadsheet

• Variance-Covariance matrix of short rate returns;
• Principal Components Analysis of VCV matrix (eigenvalues and eigenvectors of the VCV matrix);
• Cholesky decomposition of a VCV matrix;
• Monte Carlo simulation using multiple assets;

Models
All model building on Excel/VBA spreadsheet

• Ho-Lee’s model of short rate;
• Vasicek’s model and Cox-Ingersoll-Ross model of mean reverting short rate;
• LIBOR Market Model and Hull-White innovation;
• Lognormal models and Black-Derman-Toy (BDT) tree;
• Heath-Jarrow-Morton (Two Factor) Model;

Pricing of Products
All product pricing done on Excel/VBA spreadsheet

• Vanilla Caps and Floors;
• Sticky and ratchet caps;
• Range Accrual notes and swaps;
• Callable Range Accrual Notes & swaps;
• Snowballs, Snowblades, and other exotic structured notes;
• Exotic Floating Rate notes;

The workshop shall be held for 6 hours from 9 am-12 pm and 2pm-5 pm at our office at 8/F Bank of America Tower, 12 Harcourt Road, Central, Hong Kong.

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.

For Registration and Enquiries please
fill out our Web-based form or Call the Risk Latte Team on +852 2584 6127